Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Suzhou TFC Optical Communication Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Suzhou TFC Optical Communication Co., Ltd. Class A. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 44.6%, drawdown -72.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 35.5%, MDD -60.1%, Sharpe 0.85, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=38, threshold=-0.03 |
35.5% | -60.1% | 0.85 | 0.59 | 32.4x | 152 | 59% |
| Donchian 채널 돌파 entryN=23, exitN=75 |
33.3% | -71.1% | 0.80 | 0.47 | 26.8x | 24 | 75% |
| Supertrend period=7, mult=4.6 |
32.3% | -61.2% | 0.79 | 0.53 | 24.6x | 32 | 70% |
| MACD fast=18, slow=23, signal=18 |
26.0% | -59.4% | 0.74 | 0.44 | 14.2x | 138 | 50% |
| SMA 크로스오버 fast=12, slow=64 |
26.0% | -60.2% | 0.72 | 0.43 | 14.1x | 50 | 54% |
| EMA 크로스오버 fast=25, slow=48 |
25.4% | -71.8% | 0.70 | 0.35 | 13.3x | 38 | 56% |
| Parabolic SAR step=0.005, maxStep=0.3 |
24.0% | -69.9% | 0.70 | 0.34 | 11.7x | 98 | 51% |
| 볼린저 밴드 돌파 n=19, k=2 |
21.5% | -64.4% | 0.69 | 0.33 | 9.3x | 108 | 32% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=16, mult=2.3 |
20.5% | -59.7% | 0.69 | 0.34 | 8.4x | 62 | 24% |
| ADX / DI 방향성 period=19, threshold=14 |
18.8% | -77.0% | 0.60 | 0.24 | 7.2x | 162 | 53% |
| Buy and hold | 44.6% | -72.4% | 0.91 | 0.62 | 68.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 38-day return is greater than -3%
- Sell — Sell when the 38-day return drops to -3% or below